Quick P&L’s, January and To-Date

Quick Summary

 Market Stress has helped

 Our Trend Day predictions are getting better

 We combined Market Stress and a Trend Day prediction to identify the recent market turn

 Since Market Stress the Forecast set-ups have been correct 77% of the time

Since Market Stress, October 2013-p

market stress pnl jan

Market Stress, Oct 2013-p
   
Gross $4,431
   
Avg/mo. $1,477
   
Avg/yr $17,724
   
% Profitable 100%
   
Std Dev/mo $487
   
z 5.25
   
Sharpe 3.0*

Since inception, 2012-p

Forecast PnL

All, 2012-p  
   
Gross $87,316
   
Avg/mo. $3,796
   
Avg/yr $45,556
   
% Profitable 74%
   
Std Dev/mo $11,636
   
z 1.56
   
Sharpe 0.3

Quick Conclusion:

We’re getting better at understanding and using Market Stress and Trend Days

That should lead to more and better opportunities – especially in longer timeframes

*A Sharpe Ratio on 4 months results is a bit silly

—h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
www.verticalsolutions.com

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